Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0172
Annualized Std Dev 0.0689
Annualized Sharpe (Rf=0%) 0.2491

Row

Daily Return Statistics

Close
Observations 3471.0000
NAs 1.0000
Minimum -0.0386
Quartile 1 -0.0021
Median 0.0002
Arithmetic Mean 0.0001
Geometric Mean 0.0001
Quartile 3 0.0023
Maximum 0.0429
SE Mean 0.0001
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0002
Variance 0.0000
Stdev 0.0043
Skewness -0.1932
Kurtosis 11.8711

Downside Risk

Close
Semi Deviation 0.0031
Gain Deviation 0.0030
Loss Deviation 0.0033
Downside Deviation (MAR=210%) 0.0093
Downside Deviation (Rf=0%) 0.0031
Downside Deviation (0%) 0.0031
Maximum Drawdown 0.1872
Historical VaR (95%) -0.0065
Historical ES (95%) -0.0100
Modified VaR (95%) -0.0063
Modified ES (95%) -0.0087
From Trough To Depth Length To Trough Recovery
2008-03-13 2008-11-24 2010-09-28 -0.1872 642 179 463
2012-12-07 2018-11-02 2020-07-31 -0.1353 1925 1488 437
2010-10-26 2011-02-10 2011-07-13 -0.0640 180 75 105
2011-08-11 2011-10-14 2012-01-26 -0.0370 116 46 70
2007-11-27 2007-12-17 2008-01-17 -0.0370 36 15 21

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA -0.4 0.1 0.4 1.1 -0.2 0.8 0.1 0.7 2.7
2008 -0.3 1 -1.9 0 0.4 -0.6 -0.7 -0.4 0 -0.8 1.6 -0.5 -2.3
2009 0.3 -0.3 0.4 -0.4 -1.1 -0.1 0.3 -0.7 0.3 0.6 -0.4 -0.3 -1.4
2010 -0.1 0.1 -0.4 0.2 -0.5 -0.7 0.4 -0.5 -0.1 0 -0.8 0.7 -1.7
2011 -0.3 0.1 -0.1 0.2 -0.4 -0.6 -0.1 0.9 -0.1 0.8 -0.3 0 0.1
2012 -0.1 -0.4 -0.4 -0.5 0 -0.4 0 0.5 0.3 -0.2 0.2 -0.4 -1.5
2013 -0.5 0.2 0.2 -0.3 0 0.3 -0.6 -0.3 -0.1 -0.9 -0.2 -0.3 -2.5
2014 0.2 0.1 -0.3 0.2 -0.3 -0.8 0.1 -0.2 0.8 -0.1 -0.3 0.5 -0.1
2015 0.9 0.6 0.9 -0.6 -0.5 -0.4 0.3 -0.1 0.3 0.4 0.3 0.2 2.3
2016 -0.3 -0.2 0.1 0.2 -0.2 0.4 -0.8 -0.4 0 0 -0.2 0.3 -1.1
2017 -0.2 -0.7 0.3 -0.7 -0.1 -0.2 0 -0.2 -0.3 -0.2 0 0.2 -2
2018 -0.5 0.3 0.3 -0.7 -0.3 0 -0.7 -0.1 -0.4 -0.2 0 0.1 -2.1
2019 -0.3 -0.3 -0.6 -0.6 0.7 -0.7 0.2 -0.4 0 0.2 -0.3 0.1 -2
2020 0.6 0.2 0.1 -0.2 0.1 0 0.2 -0.4 -0.3 -0.3 -0.4 0.4 0
2021 -0.2 -0.2 0.2 NA NA NA NA NA NA NA NA NA -0.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-05-30  24.0 SPY    153.  0.0081  0.007     0.035    0.0891    0.196    0.367    0.420 GLD    64.7 -5.40e-3  -0.0077
2 2007-05-31  24.0 SPY    153. -0.001   0.00580   0.0313   0.0912    0.216    0.358    0.429 GLD    65.5  1.27e-2   0     
3 2007-06-01  23.9 SPY    154.  0.005   0.02      0.0304   0.111     0.208    0.365    0.44  GLD    66.4  1.37e-2   0.0261
4 2007-06-06  24.0 SPY    152. -0.0107 -0.0107    0.0059   0.088     0.194    0.355    0.451 GLD    66.4  6.00e-4   0.0261
5 2007-06-07  23.8 SPY    149. -0.018  -0.0275   -0.0109   0.0594    0.176    0.320    0.412 GLD    65.3 -1.73e-2  -0.0043
6 2007-06-08  23.7 SPY    151.  0.013  -0.0197   -0.0008   0.0729    0.200    0.317    0.460 GLD    64.2 -1.59e-2  -0.0334
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart